'Have you read that cholera has already reached Naples? Will you be giving it a wide berth?' So wrote Anna Freud (aged 14) in September 1910 to her father, then travelling in the south. Anna was Sigmund's youngest child and the only one of his six to train as a psychoanalyst. She became a custodian of his movement, a pioneer of child analysis, and co-founder of the Hampstead Nurseries, which offered refuge to homeless families during the Second World War. She was well known for her fierce quarrels with Melanie Klein, whose ideas were to have a profound impact on British psychoanalysis. Anna also proved influential in this country and to a still greater extent in the United States. She never married, nor did she ever permanently leave her parental home. After she died in 1982, her - their - residence in London became the Freud Museum. Sigmund called Anna his 'Antigone', which captured something of her unswerving dedication.

Their letters, postcards and occasional telegrams to one another, spanning a 34-year period, have been assembled in this remarkable book, just translated from the German. In that same teenage letter mentioned above, Anna expressed her fears that Sigmund's then travelling companion and colleague, Sándor Ferenczi, was not looking after him. Perhaps it was not surprising, given that Sigmund's gastrointestinal problems were not infrequently mentioned in his correspondence to her and others, that she inquired so particularly after the state of his stomach.

Anna also took the opportunity to remind him of his impending wedding anniversary, suggesting that it provided her with 'a good excuse to send you an extra-large number of greetings and kisses'. Aficionados can study these missives alongside the famous correspondence of Freud and his wife-to-be, Martha Bernays. Sigmund's passionate letters during their long engagement have become legendary. Martha has always been cast as a paragon of virtue, even recently as the 'housekeeper of a world-shattering theory'. Frau Freud had to bear the condescension of posterity and seems to have done so with equanimity. Here Anna emerges not only as something of a substitute companion, but also as a go-between, especially on household matters, where Freud had strict instructions from his wife not to interfere.

Anna and Sigmund mostly conversed across the dining table, so had no need to write, but holidays, congresses and convalescences occasioned their correspondence. Her health seemed precarious, especially in youth; his never entirely robust, even before cancer of the jaw set in. Anna was to prove the most conscientious of nurses and there is much in these writings of illness. Friends and relations were impressed by her but sometimes appeared aghast at the seeming self-sacrifice of it all.

He could be soothing and at times exceptionally blunt, telling the youngster on one occasion she was 'a bit odd', and suggesting her backache, incurred while embroidering, was simply the displacement of her ambivalence towards her beautiful sister Sophie; the implication was that she was hysterically using her body because she could not bear to complete stitching her wedding present. But then Sigmund changed tack, laying the blame on Sophie instead, the latter being regarded as jealous of Anna's brains. We read of such family tensions, but also of joyous expeditions, most especially to Italy. There was a flurry of writing during Anna's bittersweet trip to England aged 19. Anna had considerable trouble returning to Vienna, as the ill-starred date of her journey was July 1914. We have the records here too of their reports home, as each visited émigré bits of the family, notably in Berlin. Sophie's death in the influenza epidemic in 1920, also discussed in these pages, was a rare occasion when Freud was laid completely low. This occurred as he wrote of the psychic struggle of life against death drives in Beyond the Pleasure Principle.

Even when cholera was not close on his heels, or influenza running its terrible course, Anna was ever solicitous for her 'papa's' health and safety, as was he, frequently, for hers, asking for regular bulletins about her weight (down to the precise kilogram), energy and mood, which she duly provided, along with updates on clothes and hairstyles. As they drew ever closer, one wonders what the founder of psychoanalysis (a man supremely interested in the complexities of family triangles) made of her decision never to leave. Although he informed everybody, of course, that 'the ego is not master in its own house', that's not quite an answer.

During Anna's visit to England, Freud firmly warned her off the possibly amorous Ernest Jones (the founder of the British Psychoanalytical Society): he was too old and altogether unsuitable, she was advised. Freud had his grounds: Jones had been involved in an unsavoury scandal years earlier that had led to his temporary departure across the Atlantic. Perhaps Freud thought there was no smoke without fire, and anyway viewed his loyal disciple with a mixture of appreciation and mistrust. Sigmund warned her never to be alone with the seductive Welshman during her trip in 1914. He sent Jones a private note, admitting him into a secret: an agreement had already been struck between father and daughter that she was not to succumb to his, or anyone's, wooing at this stage. Freud confidently predicted she would not break her word. Jones sent an urbane reply, expressing his own semi-veiled diagnosis of her difficulties. Yet what male suitor could ever have been a suitable match? In the end, Sigmund seems to have accepted the fact that Anna found solace in the woman discreetly still referred to as her 'close companion', Dorothy Burlingham, the heiress of Tiffany's, who had entered her life in the 1920s, ditching her mentally disturbed husband but with her children still very much in tow. Anna had other important friendships too, including one with Lou Andreas-Salomé, well documented in these letters.

Freud sought continually to help Anna develop her work and to protect her from slights and false steps; one is left wondering, nonetheless, that he did not see or at least did not take sufficient steps to help her deal with her idealisation and infatuation with him, for reasons that included, evidently enough, his own needs. Nonetheless it would be facile to read this exchange simply as the saga of a controlling patriarch and his downtrodden daughter. For Anna also emerges as intelligent, and sometimes both feisty and capable, eschewing, without ever quite saying so, conventional choices made by so many of her contemporaries. We can see how ferociously busy Sigmund was: writing prodigiously, seeing patients back to back, piloting his often fissiparous psychoanalytic ship away from the rocks and often leaning on Anna in the process, in more ways than one.

Holidays offered some reprieve; these letters are full of the wonders of nature. Both adored walking in hills, foraging for mushrooms and berries and then reporting back to the other on their reconnaissance trips to the woods. Yet even far away from his books and patients at Berggasse 19, Sigmund was never fully at repose.

Many of these dispatches were sent from hotel rooms, the correspondent reporting on beloved Italian towns and sunny landscapes. Yet in a meticulous appendix, we are shown how hard he still worked and worked her too. When Sigmund took Anna on a long-anticipated joint trip to Rome, their itinerary through the ruins and churches was relentless. They cannot have spent much time at the Hotel Eden, where they stayed. It is a virtue of this edition that we learn so much about the background to each journey, sites of interest and the minutiae of Freudian life. The footnotes offer polyphonic perspectives on the main characters' welfare: even as we read Anna's reassuring letters about her spirits, we have Mathilde, her sister, warning their father about 'Annerl': 'she looks well' and 'pretty', 'has the best intentions', but is really 'a poor thing and torments herself terribly with everything'.

It is tempting to proffer 'wild analysis', but perhaps there is enough to go round. Many interpretations already exist about the pair. The frequency of Freud's references to his travel arrangements with his sister-in-law, already the subject of much speculation, will no doubt raise eyebrows even higher: 'she enjoys my very pleasant room, which is next to hers. We are together for the two main meals', he wrote, somewhere between revealingly and cryptically, or even perhaps, for all we know, artlessly and innocently.

These letters are as much snapshots of extraordinary historical and cultural times as they are revelations of the heart - of meeting and reading Rilke; the ups and (many) downs of the economy, war and fragile peace, all in the face of the hideous politics of central Europe. Ingeborg Meyer-Palmedo helps throughout, informing us of the context and even certain material conditions, such as the fact that in 1917, over 90 per cent of Viennese apartments had neither their own running water nor a private WC. Data from numerous archives has been mined and even the records of certain antique dealers carefully scoured. Freud scholars will love the details of his fluctuating financial worth and how he celebrates with Anna his own rising fortunes and encourages her to be - and feel - less thrifty. Much is also unsaid: these were, in the main, holiday letters. They had no reason to write to each other of Anna's day with the Gestapo, for instance, that sealed Freud's decision, despite his age and failing health, to take his family into exile and to die in London.

It is the utter intensity of it all that leaves the most uncomfortable impression, at least to those of us disposed to see primarily - or even exclusively - the greatness, humanity and revolutionary genius in Freud. In 1912 (by which time Mathilde had flown the nest and Sophie was about to do so), he was already addressing Anna, with an ambiguous mix of description and prescription, as 'My dear single daughter'. She was only 17. Was the singleness of purpose, along with the undoubted intelligence, the very thing that made her so dear? Certainly when away, Freud was not slow to remind her to keep him closely in the loop and not to forget herself when it came to certain gentleman callers. There was no doubt in this regard that he treated her differently from his other children, predicting - and thereby, one suspects, increasing the odds - that she would not be the marrying type.

Anna often tried to protect him from unwelcome intrusions too, helping him manage the impossible flow of work. He kept her up to speed, though often rather telegraphically: she was never really his muse. As he completed Beyond the Pleasure Principle, he divulged only this: 'There is a lot about death in it.' Nobody could accuse him of exaggerating there. But as he completed Group Psychology in 1921, or wearily concluded his correspondence with Einstein in 1932 (after he was invited by the physicist to answer the question 'Why War?'), Anna was in all likelihood the first of the family to know.

There is no bombshell and no new smoking gun regarding Anna's acrimonious relationship to Klein or personal views on Jones, though her spirited likes and dislikes were sometimes openly expressed; this book reveals what a perilously entangled filial relationship it truly was. Did she ever find it too claustrophobic? There is evidence here rather more obviously of the extreme poignancy and strength of the bond. The boundaries of conventional psychoanalytic technique, admittedly, were nothing like as solid then as now, but all the same how could he have taken her into analysis as he did, knowing what he knew of the Oedipus complex? Meyer-Palmedo drily gives us the dates of this treatment along with Anna's excited and dutiful letters, in which she was not averse to reporting dreams or apologising on occasion that they were 'terribly shabby', as though she really should do better. She always signed off to him as 'your Anna', and so it was always to be.

Daniel Pick is a psychoanalyst, fellow of the British Psychoanalytical Society, and Professor of History at Birkbeck College. His most recent book is The Pursuit of the Nazi Mind: Hitler, Hess and the Analysts (OUP, 2012).